X-Com: Enemy Within. Easily one of my favorite games of all time, but the difficulty curve is really off-balance in EW. For some reason, the game is nearly impossible up until the first terror mission if you try and play it on 'classic', but then becomes reasonable afterwards. I found I had to play on 'normal' up until that mission, and then switch to 'classic' to get the best experience. Also, Sectopods are so freakin' annoying in EW. I get they needed to make them more powerful after X-Com: EU, but huge defense AND 50% damage reduction?! Seriously?!
Torchlight 2: Somewhat similar to X-Com, the veteran difficulty is too hard, and the normal difficulty is too easy. Needs an additional difficulty setting.
Skyrim: I pretty much always play as a stealth/assassin character, and I found that the 'sneak' skill upgrades very quickly. Once you have it past 90 (and especially if you join the Dark Brotherhood and get their gear) sneaking becomes almost hilariously OP. As long as you're sneaking, you're basically invisible, and backstabbing an enemy does 30x normal damage. It makes the rest of the game a cakewalk (God bless mods).
Dark Souls: Bed of chaos fight (already mentioned). This fight was just so annoying because it felt like luck more than anything else.
Syndicate: I actually liked Syndicate a lot (I honestly don't know why) but that fucking bloom effect is enough to give you epilepsy.
Gears of War 3: I can't remember what they are called, but the Lambent creatures that act like mortars at long range and hit you with their tentacle at close range, even behind cover. Seriously, fuck those guys. They basically get you stuck in an endless "I'm gonna die. Oh I'm revived! Oh he hit me again, now I'm gonna die. Oh I'm revived! Oh wait, never mind, he got me again" loop until one or your teammates kills them or they miraculously leave you alone for 3 seconds.